Abstract
Every country has its own stock market exchange, which is a platform to raise capital and is a place where shares of listed company are traded. Bursa Malaysia is a stock exchange of Malaysia and it is previously known as Kuala Lumpur Stock Exchange. All over the world, including Malaysia, it is common for investors or traders to face some loss due to wrong investment decisions. According to the conventional financial theory, there are so many reasons that can lead to bad investment decisions. One of them is confirmation bias where an investor has a preconceived notion about an investment without a good information and knowledge. In this paper, we study the best way to provide good information for investors in helping them make the right decisions and not to fall prey to this behavioral miscue. Two models for forecasting stock prices data are employed, namely, Fuzzy Time Series (FTS) and Geometric Brownian Motion (GBM). This study used a secondary data consisting of AirAsia Berhad daily stock prices for a duration of 20 weeks from January 2015 to May 2015. The 16-weeks data from January to April 2015 was used to forecast the stock prices for the 4-weeks of May 2015. The results showed that FTS has the lowest values of the Mean Absolute Percentage Error (MAPE) and the Mean Square Error (MSE), which are 1.11% and MYR20.0011, respectively. For comparison, for GBM, the MAPE is 1.53% and the MSE is MYR2 0.0017. The findings imply that the FTS model provides a more accurate forecast of stock prices.
 Keywords: Forecasted values, stock market, Fuzzy Time Series, Geometric Brownian Motion
Highlights
The stock market exchange is one of the most vital components of free-market economy
For Fuzzy Time Series (FTS) model, the lowest Mean Absolute Percentage Error (MAPE) and Mean Square Error (MSE) are from one week of output data which are 0.56% and MYR2 0.0004 respectively
It is proven that Geometric Brownian Motion (GBM) model is not really accurate to be used in forecasting data within one week while FTS is not really accurate to be used in forecasting data within four weeks
Summary
The stock market exchange is one of the most vital components of free-market economy. The closing stock price is the price of a stock at the end of a trading day. It is very significant for several reasons; it can determine how well or poorly a stock performs, which is a big deal for investors and financial institutions and other stakeholders. It is a standard figure watched by an individual or organizations in making decisions about the stock and the company.
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